Bye ActiveQuant, Marketcetera, market datafeeds are very easy to configure within Matlab including Bloomberg and free Yahoo
Below are some of what Matab’s Datafeed toolbox can do with your Matlab scripts:
Retrieve and analyze a wide variety of security data from financial data servers in MATLAB.

Access market, time-series, and historical market data in MATLAB.

Monitor the status and history of each connection to a supported data service provider.

Fetch data fields for multiple securities in a single call.

Look up security ticker symbols from the toolbox GUI or the MATLAB command line
This Matlab toolkit will talk to the following market datafeeds:

Bloomberg L.P. (http://www.bloomberg.com)

FactSet Research Systems, Inc. (http://www.factset.com

Federal Reserve Economic Data (FRED) (http://research.stlouisfed.org/fred2/)

Haver Analytics (http://www.haver.com)

Interactive Data Pricing and Reference Data (http://www.interactivedata-prd.com/)

Kx Systems, Inc. (http://www.kx.com)

Thomson Reuters (http://www.thomsonreuters.com/)

Yahoo!, Inc. (http://finance.yahoo.com)
As you can tell, most of the above feeds do require you pay monthly licensing fee but I do believe Yahoo and the government feeds should be free. As you can imagine, there are some great potential for you to build up a statistical database so you can do your back testing. I also have not looked online to see if there any extensive examples to show you how to connect and retrieve this data, but the capabilities are there.

In Matlab’s, you will find some detailed example scripts that will show you how to connect to the Bloomberg data server. I wish had the money to afford this service as Bloomberg is tops in this research. As said, there are some example Bloomberg examples to collect any historical data for your back testing needs.
Included in this Matlab Datafeed toolbox is a GUI based wizard that will help you connect to Bloomberg and a free based service like Yahoo. I have trying to do this for months with both QuantLib, Active Quant, and Marketcetera, it is right there visually instead of coding it like thirty years ago. This wizard looks very intuitive and sophisticated at the same time. I can’t wait to try this out.